Dear Experts---Sorry, I need some help again. I need a very fast estimator for small sample time-series in which the autocoefficient can be anything between 0 and 2 (i.e., even beyond the unit-root). I think this means that I will need to run OLS. Of course, this means that I will run into the Hurwicz bias. So I am wondering whether there is a reasonably fast approximate correction for the autocoefficient, presumably as a function of N, Var(x), and estimated a, b, and Var(e). Even a function with some reasonable amount of lookup would be ok. (I have searched google and found nothing.) Pointers appreciated.
sincerely, /iaw ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
